In real life, can't you place pyrite in a vacuum and pull it out before it boils? Voila - molten pyrite!
I did notice it was sulphur yellow but didn't think anything more of it, considering I've played Indy2 recently (where you had to drop molten lava into an ancient machine to get a precious metal back).
I was more upset I was being forced to kill off a character I've grown very fond of. So I was very relieved at the end to see the merleader resurrect it.
If we really need an explanation as to why we were able to melt pyrite on an ancient open air grill (which we don't), I don't think we need to look further than the Voodoo Lady. She foresaw our need and used her voodoo powers such to manipulate science. I thought it was quite funny to see a flat yellow turtle squawking "It's me, Guybrush Threepwood: Mighty Pirate!"
Life is like an adventure game: if you don't click, you don't get it